Hi
I encountered this problem a while back - its the format of your hard drive, i'm guessing you are using windows 98.
Its true about fat16 & fat32 file system - its maximum file size is 4gb so when backing up a game bigger than this the file is too big to be stored on your hard-drive as an image for burning. Windows 98 (and older) only give you these formats for your hard dive
The way I solved it was to upgrade to windows xp, during the upgrade you are given the option to change the format of your hard drive to NTFS. By changing to NTFS you are able to create files much larger than 4gb and so problem solved. The change of format doesn't affect your stored files either - all files and programs installed on the disk will be unaffected by changing to NTFS.
I believe though not positive, that windows 2k alows NTFS aswell but millenium doesn't (not positive - might be wrong on that point)
The only other thing I can think of to do without changing your OS is if you have a seperate dvd rom to your burner and copy on the fly without going to your hard-drive at all. I haven't tried this so it to may not work.
Good luck
owen